Oh, don't get me started. XD I know I'm not alone in being disappointed that Thief did not get proper treatment in this game. Rogue isn't good enough, because no one PLAYS as Rogue, at least not any longer than it takes to unlock Ninja. Ninja and Thief should be side-by-side as JOBS in this game, not with one being an inferior base class to the other. No one's bringing it up, because it's not a debate appropriate to this thread, and really it's not a fight worth fighting. Yoshi P has pretty much straight-up stated that he doesn't see a place for Thief in this game (which is nonsense, and it wouldn't take much imagination to come up with a good identity for it). That doesn't mean that a lot of us aren't deeply bitter about it!
As someone who sympathizes with your plight, here's some fanfiction:
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Alley Urchin
In Ul'dah, you meet a merchant that mentions a street urchin has been stealing food from stalls in Sapphire Avenue. He's so small and quick that the brass blades haven't been able to really do much to detain him (without actually trying to kill him). You decide to get involved and chase the urchin after his latest pilfering, and because you're the warrior of light, you succeed in catching up to the kid. The urchin's name is Arc, and he has been subsisting by stealing food since his parents died. He's started stealing more than usual (thus attracting all the recent attention) because he's looking after someone, and through that you meet a miqo'te name Nanaa. Arc's been stealing food and supplies to heal Nanaa's wounds, and assumes she's in some sort of trouble since she doesn't want to be taken to any "official" facilities.
Nanaa reveals to you that she's actually a member of an underground group called the Thieves' Guild. A den of rogues and outlaws that often hit rich caravans, but distribute the spoils among the downtrodden (like the poor people living in shacks outside the city walls). Other times they use their skills to explore ancient ruins in hopes of finding precious artifacts and treasure to sell and do the same. Nanaa mentions that their hideout was suddenly attacked and that she's the only survivor. While she recovers, she wants to piece together who was behind the attack and avenge her guildmates.
To ensure you will help, she gives you a token known as the Soul of the Thief and agrees to train you in their secrets. She also asks that you not tell any of this to Arc, feeling he's a bit too young to get involved in this mess (even if she admits he'd be a shoo-in for the guild once he's a little older).
---As far as where this goes, the ones behind the attack turn out to be a wealthy Ul'dahn merchant that was slighted by the Thieves' Guild and one of the guild's own members that turned on them. So the questline would basically be you putting it all together and then helping Nanaa kill the traitor and the Ul'dahn merchant. Yes, unlike other questlines, this one ends on questionable moral grounds. Nanaa herself tells you that as long as the wealthy in Ul'dah abuse the downtrodden, the guild will do what it must to even things out. The quest would emphasize that they act entirely on their own and are not affiliated with any government power.